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Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses

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  • Bange, Mary M.
  • Khang, Kenneth
  • Miller Jr., Thomas W.
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    Abstract

    We conduct performance tests of the recommended asset allocations made by a panel of international investment houses (the "Houses") from 1982 through 2005. We compare the returns and Sharpe Ratios from the recommended-weight portfolio against those of several benchmark portfolios and to a set of 10,000 returns and Sharpe Ratios from randomly shuffled-weight and shuffled-weight change portfolios. We find that the Houses generally fail to outperform the benchmarks. The shuffled-weight change benchmark exhibits a robust "style-preserving" property in that the average portfolio standard deviation is nearly equal to the portfolio standard deviation from the actual recommended weights.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 15 (2008)
    Issue (Month): 3 (June)
    Pages: 363-386

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    Handle: RePEc:eee:empfin:v:15:y:2008:i:3:p:363-386

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    Web page: http://www.elsevier.com/locate/jempfin

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